Efficient exponential tilting with applications
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Publication:6494401
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Cites work
- scientific article; zbMATH DE number 3903723 (Why is no real title available?)
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- scientific article; zbMATH DE number 6982318 (Why is no real title available?)
- A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models
- Adaptive Importance Sampling Technique for Markov Chains Using Stochastic Approximation
- Dominating points and the asymptotics of large deviations for random walk on \(R^ r\).
- Dynamic importance sampling for queueing networks
- Efficient estimation of large portfolio loss probabilities in \(t\)-copula models
- Efficient importance sampling for events of moderate deviations with applications
- Efficient importance sampling for large sums of independent and identically distributed random variables
- Efficient rare event simulation for heavy-tailed compound sums
- Efficient simulation of value at risk with heavy-tailed risk factors
- Exponential family techniques for the lognormal left tail
- Extremum points of a convex function
- Fast Simulation of Multifactor Portfolio Credit Risk
- Hyperbolic distributions in finance
- Importance Sampling for Bootstrap Confidence Intervals
- Importance Sampling for Stochastic Simulations
- Importance Sampling, Large Deviations, and Differential Games
- Importance sampling for portfolio credit risk
- Importance sampling in the Monte Carlo study of sequential tests
- Importance sampling techniques for policy optimization
- Improved algorithms for rare event simulation with heavy tails
- LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK
- Moderate deviation principles for importance sampling estimators of risk measures
- On an automatic and optimal importance sampling approach with applications in finance
- On large deviations theory and asymptotically efficient Monte Carlo estimation
- On optimal probabilities in stochastic coordinate descent methods
- On the generalization of the hazard rate twisting-based simulation approach
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- Optimizing adaptive importance sampling by stochastic approximation
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- Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
- Quantitative risk management. Concepts, techniques and tools
- State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables
- State-dependent importance sampling for regularly varying random walks
- Stochastic simulation: Algorithms and analysis
- Variance Reduction Techniques for Estimating Value-at-Risk
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